企业收益最大化下大江大河水环境治理项目组合鲁棒优化模型

doi:10.16381/j.cnki.issn1003-207x.2022.0826

Abstract

Abstract:

The research questions come from national strategies such as the construction of national ecological civilization and the great protection of the Yangtze River， as well as the comprehensive treatment of water environment during the 13th Five Year Plan period and the comprehensive treatment plan of water environment in key river basins during the 14th Five Year Plan Period. It comes from the comprehensive treatment portfolio of the Yangtze River Protection and water environment. One of the objectives of the water environment treatment portfolio of large rivers is to maximize the economic benefits of the treatment enterprises on the premise of ensuring the ecological utility. Therefore， it is necessary to focus on the characteristics of the water environment treatment portfolio of large rivers， such as more and more complex influencing factors， wider impact areas， more significant ecological utility and social benefits， and greater uncertainty and interference faced by the implementation of the portfolio， and carry out robust optimization research on water environment comprehensive treatment portfolio of large rivers.

Key words: water environment treatment, portfolio, robust optimization model, large rivers, Yangtze River protection, enterprise income

CLC Number:

Jingchun Feng,Yaqi Yan,Ke Zhang,Daisong Hu. Robust Optimization Model of Water Environment Treatment Portfolio of Big Rivers for Maximizing Enterprise Income——Taking Yangtze River Protection as an Example[J]. Chinese Journal of Management Science, 2024, 32(6): 323-334.

Figures/Tables 7

项目编号	项目生产准备成本 $c i$ （千万元）	项目收益 $b i$ （千万元）	项目所需投资 $k i$ （千万元）	项目资源消耗 $e i$	最小执行比例 $α i t$	最大执行比例 $β i t$	国控断面水质优良率提升比例 $s i$ （%）	劣V类水降低百分比 $d i$ （%）	总磷排放量降低百分比 $j i$ （%）
A	1.50	105.8	72.25	7.0	0.10	0.90	0.33	0.50	0.66
B	1.68	139.1	80.75	6.5	0.15	0.85	0.43	0.80	1.20
C	1.94	149.6	93.5	7.9	0.20	0.80	0.49	1.10	1.26
D	1.50	104.1	72.25	8.6	0.10	0.90	0.25	0.69	0.93
E	5.05	225.4	156	9.6	0.25	0.75	0.65	1.40	2.10
F	3.22	190.8	155	9.7	0.10	0.90	0.71	0.88	1.10
G	4.99	215.4	150	10.6	0.20	0.80	0.52	0.62	1.11
H	3.22	261.6	157	11.8	0.10	0.90	0.70	0.46	0.55
I	5.46	290.7	213	14.3	0.10	0.90	0.99	0.70	1.23
J	3.63	254.5	175	14.0	0.15	0.85	0.93	0.91	0.90
K	3.51	232.5	169	13.6	0.10	0.90	0.85	1.02	0.99
L	4.46	267.9	218	15.8	0.20	0.80	1.20	1.16	1.31

时间点t	初始资金 $F t$ （千万元）
1	37
2	42
3	46
4	52
5	50

分析方法	参数取值	总收益期望值（千万元）	总收益标准差	资源违背期望值
鲁棒优化模型	$λ = 0, ω = 0$	299.6033	5.5778	11.2775
	$λ = 0, ω = + ∞$	253.1147	5.8836	0.0000
	$λ = - 1, ω = 2$	298.7951	6.2243	8.9880
	$λ = - 1, ω = 5$	296.8985	8.2044	7.5469
	$λ = - 2, ω = 5$	291.5763	3.9050	7.7133
	$λ = - 2, ω = 15$	287.2007	7.7749	5.9397
	$λ = - 5, ω = 1$	288.0807	0.7858	8.8678
	$λ = - 10, ω = 20$	288.2417	3.9904	7.2271
	$λ = - 20, ω = 20$	288.0807	0.7858	8.8678
	$λ = - ∞, ω = 0$	0.0000	0.0000	0.0000
随机期望值法		295.0289	6.7282	9.8456
最坏情况分析法		247.6374	4.0190	0.0000

References 17

1	Project Management Institute.A guide to the project management body of knowledge［M］. Philadelphia： Project Management Institute， Inc，2004.
2	Rezahoseini A， Ghannadpour S F， Hemmati M. A comprehensive mathematical model for resource-constrained multi-objective project portfolio selection and scheduling considering sustainability and projects splitting［J］. Journal of Cleaner Production，2020（269）： 73-102.
3	Liu Y， Liu Y K. Distributionally robust fuzzy project portfolio optimization problem with interactive returns［J］. Applied Soft Computing， 2017（56）： 655-668.
4	赵静，郭鹏，潘女兆.基于交互效应的项目组合风险度量及选择优化［J］.运筹与管理，2011，20（6）：120-126.
	Zhao J， Guo P， Pan N Z. Risk measurement and selection optimization of project portfolio based on the interaction effect［J］. Operations Research and Management Science，2011，20（6）：120-126.
5	李星梅，魏涵静，乞建勋，等.资源约束下可打断项目组合选择模型研究［J］.中国管理科学，2016，24（11）：40-46.
	Li X M， Wei H J， Qi J X， et al. Research on project portfolio selection model with divisibility and resource constraints［J］. Chinese Journal of Management Science，2016，24（11）：40-46.
6	白礼彪，白思俊，张以彬.基于阶段耦合的项目组合配置战略贴近度［J］.中国管理科学，2017，25（3）：93-101.
	Bai L B， Bai S J， Zhang Y B. Close degre betwen strategy and project portfolio alocation based on stage coupling［J］. Chinese Journal of Management Science，2017，25（3）：93-101.
7	闫庆友，王雅娴，孙艺新.动态主动打断项目组合选择问题的模型研究［J］.运筹与管理，2020，29（8）：158-166+185.
	Yan Q Y， Wang Y X， Sun Y X. Research on dynamic project portfolio selection model with divisibility［J］. Operations Research and Management Science，2020，29（8）：158-166+185.
8	丰景春，张越，丰慧，等. 子网络视角下项目群合同项目工期延误诊断模型研究［J］.中国管理科学，2019，27（10）：189：197
	Feng J C， Zhang Y， Feng H， et al. The diagnosis model of project group contract project delay from the perspective of sub network［J］. Chinese Journal of Management Science，2019，27（10）： 189-197.
9	Daryani A M， Omran M M， Makui A. A novel heuristic， based on a new robustness concept， for multi-objective project portfolio optimization［J］. Computers & Industrial Engineering， 2020（139）： 106-132.
10	寿涌毅，姚伟建.信息不确定下项目组合选择问题的鲁棒优化［J］.系统工程，2009，27（7）：90-95.
	Shou Y Y， Yao W J. Robust optimization of project portfolio selection under information uncertainty［J］. Systems Engineering，2009，27（7）：90-95.
11	王景玫，郭鹏，赵静.R&D项目组合鲁棒性风险测度及选择模型研究［J］.运筹与管理，2017，26（6）：140-148.
	Wang J M， Guo P， Zhao J. Research on measurement of robustness risk and selection model of R&D project portfolio［J］. Operations Research and Management Science，2017，26（6）：140-148.
12	陶莎，盛昭瀚，朱建波.交互作用不确定下的项目组合选择鲁棒决策［J］.中国管理科学，2017，25（4）：190-196.
	Tao S， Sheng Z H， Zhu J B. Robust decision-making of project portfolio selection with uncertain project interactions［J］. Chinese Journal of Management Science，2017，25（4）：190-196.
13	迟国梁.关于新时代流域水环境治理技术体系的思考［J］.水资源保护： 2022，38（1）：182-189.
	Chi G L. Thoughts on water environmental management technology system in watersheds in the new era［J］. Water Resources Protection，2022，38（1）：182-189.
14	张金良.黄河下游滩区再造与生态治理［J］.人民黄河，2017，39（6）：24-27+33.
	Zhang J L. Reconstruction and ecological management of the Lower Yellow River floodplain［J］. Yellow River，2017，39（6）：24-27+33.
15	李星梅，刘再领，赵秋红.可打断项目组合选择问题局部敏感性分析［J］.系统工程理论与实践，2016，36（7）：1816-1825.
	Li X M， Liu Z L， Zhao Q H. The loval sensitivity analysis of project portfolio selection problem with divisibility［J］. Systems Engineering-Theory & Practice，2016，36（7）：1816-1825.
16	Mulvey J M， Vanderbei R J， Zenios S A. Robust optimization of large-scale systems［J］. Operations Research， 1995， 43（2）：264-281.
17	Chian S Y， Han L L. A robust optimization model for stochastic logistic problems［J］. International Journal of Production Economics，2000，64（1）：385-397.

[1]	Zhong Shen,Xingmei Li. An Expanded Model for Project Portfolio Selection with Considering of Three Synergies [J]. Chinese Journal of Management Science, 2024, 32(8): 139-148.
[2]	Xuanming Ni,Tiantian Zheng,Huimin Zhao,Kangping Wu. Asset Pricing Based on the Optimal Idiosyncratic Return Factor [J]. Chinese Journal of Management Science, 2024, 32(8): 50-60.
[3]	Chao Fang,Yajing Hu,Weibo Zheng,Gengzhong Feng. Dynamic Selection of New Product Development Project Portfolio Based on Online Learning with Uncertain Revenue Information [J]. Chinese Journal of Management Science, 2024, 32(6): 151-162.
[4]	Ranran Guo,Wuyi Ye,Xiaoquan Liu,Baiqi Miao. The Tail Dependence Between Commodity Futures Portfolios:Based on qpr-MIDAS Model [J]. Chinese Journal of Management Science, 2024, 32(10): 11-19.
[5]	Junguang Zhang,Meihua Wang. Dynamic Buffer Monitoring Based on Brittleness Risk-driven in Critical Chain Project Portfolio Scenario [J]. Chinese Journal of Management Science, 2024, 32(1): 200-210.
[6]	Yongjun Liu,Jiandong Wu,Weiguo Zhang. Mixed Portfolio Optimization Model Within Flexible Time Horizon [J]. Chinese Journal of Management Science, 2024, 32(1): 23-30.
[7]	LI Qing, GE Xiang-yu, XIANG Xiu-li. Nonparametric Option Pricing under Multivariate No-arbitrage Constraints [J]. Chinese Journal of Management Science, 2023, 31(7): 60-67.
[8]	Guang-lin HUANG,Wan-bo LU. High Dimensional Dynamic Higher-order Portfolio Selection Based on the Varying-coefficient Multi-factor Semi-nonparametric Distribution Model [J]. Chinese Journal of Management Science, 2023, 31(12): 272-280.
[9]	ZHAO Da-ping, BAI Lin, FANG Yong, WANG Shou-yang. A Robust Portfolio Selection Model Based on Investor’s Views [J]. Chinese Journal of Management Science, 2022, 30(9): 1-9.
[10]	ZHANG Yong, LONG Wan-rong, YANG Xing-yu, ZHANG Wei-guo. Improved Exponential Gradient Portfolio Strategy Based on Online Algorithm [J]. Chinese Journal of Management Science, 2022, 30(9): 49-60.
[11]	XIAO He-lu, WANG Shan-ping. Estimation of Portfolio Efficiency Using a Chance-constrained Stochastic Index-DEA Approach [J]. Chinese Journal of Management Science, 2022, 30(9): 94-104.
[12]	YANG Rui-cheng, XING Wei-ze. Bond Portfolio Optimization Strategy with Target Tracking of CRMW Default Risk Mitigation Utility [J]. Chinese Journal of Management Science, 2022, 30(7): 150-163.
[13]	HUANG Jin-bo, WU Li-li, YOU Yi-ling. Mean-VaR Model Based on the Asymmetric Laplace Distribution [J]. Chinese Journal of Management Science, 2022, 30(5): 31-40.
[14]	JIANG Chong-hui, LIU Lin. The Effectiveness of Momentum Factor Tracking Strategy: Evidence from China Stock Market [J]. Chinese Journal of Management Science, 2022, 30(5): 86-97.
[15]	ZHANG Peng, LI Ying, ZENG Yong-quan. Time-consistent Strategy for Themultiperiod Fuzzy Portfolio Selection with Real Constraints [J]. Chinese Journal of Management Science, 2022, 30(4): 42-51.

Robust Optimization Model of Water Environment Treatment Portfolio of Big Rivers for Maximizing Enterprise Income——Taking Yangtze River Protection as an Example

RichHTML

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

Figures/Tables 7

References 17

Related Articles 15

Metrics

Comments

Recommended 0